| Backtesting |
Run strategy backtests on historical data |
| Realistic backtest in one call |
Venue-typed factory that wires executor, account, fees, funding, liquidation, and rate limits |
| Backtest recipes |
Runnable end-to-end recipes for the common backtest assembly patterns |
| Sweep a signal over a tape |
Monomorphic replay for indicator studies and parameter sweeps |
| Realistic fills |
Slippage, queue position, partial fills |
| Record and replay tapes |
Capture live market data to .floxlog, replay deterministically |
Run a paper engine (flox engine sim) |
Replay a tape through a strategy behind a control server an agent can drive |
| Merge multiple tapes on read |
Cross-exchange research over N tapes with symbols rekeyed into one global id space |
| Aggregate tape events in a single pass |
Run a panel of streaming aggregators over a tape without materialising it |
| Import Binance public archives |
Convert data.binance.vision aggTrades zips into a .floxlog tape |
| Import Binance book archives |
Convert bookTicker / bookDepth zips into delta-encoded book events on the same tape |
| Import multi-exchange archives |
Binance / Bybit / OKX / Bitget / Deribit public archive importers |
| Iterate the order book from a tape |
Reconstruct ladder state per bucket or at a chosen instant for offline book analysis |
| Rolling top-K thresholds |
Vectorized sliding K-th-largest for extreme-event filters at any timeframe |
| Cross-sectional panel builder |
Aligned (T × S) close / OHLC / returns panel over N floxlog tapes |
| Delta book compression |
Shrink L2 tapes 10-30x by emitting only the changed levels |
Record a strategy run as .floxrun |
Capture signals, orders, and fills as a per-run trace alongside the tape |
Capture a strategy run automatically with .floxrun |
TraceSignalHandler + TraceExecutionListener adapters; no per-strategy instrumentation |
| Inspect a tape and run in the replay viewer |
Single-page UI for scrubbing through a captured tape and strategy trace |
| HTML report |
Render an equity curve + trade table to one HTML file |
| Interactive backtest |
Inspect state mid-run from a notebook |
| Grid search |
Sweep parameters over a backtest |
| Walk-forward |
Out-of-sample validation with rolling / anchored folds |
| Heatmap |
SVG heatmap from a 2D parameter sweep |
| White's reality check |
Multiple-comparison-aware significance test |
| Log to MLflow |
Send a backtest run + artifacts into an MLflow tracking server |
| Backtest an LP position |
Run a concentrated-liquidity position through a pool tape |
| Choose a matching model |
FIFO, pro-rata, pro_rata_with_fifo, TOP-PRO-LMM, and priority-weighted matching |
| Read queue position from a strategy |
Queue-ahead / queue-total events off the backtest queue tracker |
| Estimate queue position from live events |
LiveQueuePositionEstimator over live trade + book feeds |
| Calibrate the live queue estimator |
Fit half-life and shrink factor against observed fills |
| Attribute hidden / iceberg flow |
Stop counting hidden fills as cancellations in the queue estimate |
| Detect an empty price level |
Fire when a resting order is alone at its level |
| Track a resting order's market position |
Categorical best / behind-best / mid-spread / crossed transitions |
| Read maker / taker on a fill |
Fill-role classification and why it drives the fee ladder |
| Per-stage order timestamps |
Submitted / accepted / first-fill / cancelled / rejected snapshot per order |
| Record and analyse order journeys |
OrderJourneyTracer for post-trade latency and cancel-race forensics |
| Apply a named latency profile |
Canned per-venue ack-latency defaults |
| Ack-latency distributions |
Lognormal / empirical draws with burst correlation instead of a scalar |
| Model submit-side ack latency |
Defer ACCEPTED so the submit race is reproducible |
| Model cancellation ack latency |
Reproduce the lost-to-fill cancel race |
| Model order replace acknowledgement |
The three-event async replace sequence and the late-replace race |
| Simulate venue downtime |
Maintenance windows, random disconnects, and buffered request flush |
| Model venue rate limits |
Per-endpoint budgets and rejection behaviour |
| Model volume-tiered fees |
30-day rolling VIP ladder for maker / taker rates |
| Model perpetual funding |
Funding schedules, per-symbol tapes, and settlement bookkeeping |
| Model liquidation and ADL |
Cascades, insurance fund, ADL ranking, mark impact |
| Cross-margin accounts |
Shared-equity account with per-symbol marks and maintenance margin |
| Self-trade prevention |
STP modes and account groups in the simulator |
| Price options and back out IV |
Black-Scholes, implied vol, SVI surfaces, and the vol cone |
| Compute option greeks |
First- and second-order greeks |